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Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions

Author

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  • Helena Chuliá

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Montserrat Guillén

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Jorge M. Uribe

    (Facultad de Ciencias Sociales y Economicas, Universidad del Valle)

Abstract

We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses Generalized Dynamic Factor Models fitted over the differences of the log-mortality rates. We compare prediction performance with models previously proposed in the literature, such as the traditional Static Factor Model fitted over the level of log-mortality rates. We also construct risk measures by the means of vinecopulae simulations, taking into account the dependence between the idiosyncratic components of the mortality rates. The methodology is implemented to project the mortality rates of the United Kingdom, for which we consider a portfolio and study longevity and mortality risks.

Suggested Citation

  • Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    • Handle: RePEc:bak:wpaper:201503
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    2. Manuela Alcañiz & Aïda Solé-Auró, 2018. "Ageing and health-related quality of life: evidence from Catalonia (Spain)," Working Papers 2018-01, Universitat de Barcelona, UB Riskcenter.

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    Keywords

    Longevity; mortality forecasting; factor models; vine-copulae; Value at Risk.;
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